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Local efficiency of a Cramer-von Mises test of independence

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Author Info
Genest, Christian
Quessy, Jean-François
Rémillard, Bruno

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Abstract

Deheuvels proposed a rank test of independence based on a Cramer-von Mises functional of the empirical copula process. Using a general result on the asymptotic distribution of this process under sequences of contiguous alternatives, the local power curve of Deheuvels' test is computed in the bivariate case and compared to that of competing procedures based on linear rank statistics. The Gil-Pelaez inversion formula is used to make additional comparisons in terms of a natural extension of Pitman's measure of asymptotic relative efficiency.

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File URL: http://www.sciencedirect.com/science/article/B6WK9-4G2G20P-1/2/d027b681060605c7872c0f7acb08bd2b
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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 97 (2006)
Issue (Month): 1 (January)
Pages: 274-294
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Handle: RePEc:eee:jmvana:v:97:y:2006:i:1:p:274-294

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Related research
Keywords: Asymptotic relative efficiency Contiguous alternatives Empirical copula process Linear rank statistics;

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This page was last updated on 2009-12-3.

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